[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]

st: RE: Newey west

From   "Schaffer, Mark E" <>
To   <>
Subject   st: RE: Newey west
Date   Wed, 10 Dec 2008 14:54:19 -0000


> -----Original Message-----
> From: 
> [] On Behalf Of Alice
> Sent: Wednesday, December 10, 2008 1:18 PM
> To:
> Subject: st: Newey west
> Hi,
> I am trying to use the command -newey- using panel data and I 
> include fixed effects. However this does not work (Stata 
> tells me that my year variable is not regularly spaced).
> Any suggestions? What does the error message mean? My sample 
> is however balanced over time so I have the same number of 
> observations in each year.

It sounds like you have some gaps in your time series.  I think -newey-
doesn't like gaps.

-xtivreg2- supports Newey-West SEs (also known as the Bartlett kernel)
with straight fixed effects panel data estimation and no endogenous
regressors, i.e., your case.  It's available from ssc-archives in the
usual way, i.e.,

ssc install xtivreg2

You'll also need to install -ivreg2- and -ranktest- in the same way.
-ivreg2- supports the same estimation without fixed effects (-xtivreg2-
is basically a wrapper for -ivreg2-).

Hope this helps.

Mark (author/coauthor of xtivreg2, ivreg2, ranktest)

Prof. Mark E. Schaffer
Centre for Economic Reform and Transformation
Department of Economics
School of Management & Languages
Heriot-Watt University
Edinburgh EH14 4AS  UK
44-131-451-3494 direct
44-131-451-3296 fax

> Thanks, Alice.
> *
> *   For searches and help try:
> *
> *
> *

Heriot-Watt University is a Scottish charity
registered under charity number SC000278.

*   For searches and help try:

© Copyright 1996–2015 StataCorp LP   |   Terms of use   |   Privacy   |   Contact us   |   What's new   |   Site index